A Decision Procedure for Bilinear Time Series Based on the Asymptotic Separation

DOI10.1080/02331880008802699zbMath0970.62054OpenAlexW2087277780MaRDI QIDQ4943294

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Publication date: 3 October 2001

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880008802699

zbMATH Keywords

time seriesasymptotic separationbilinear models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Statistical decision theory (62C99)

Cites Work

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• Stationarity and invertibility of simple bilinear models
• Some statistical results on autoregressive conditionally heteroscedastic models
• Generalized autoregressive conditional heteroscedasticity
• Explicit and exponential bounds for a test on the coefficient of an AR(1) model
• A new test for ARMA models with errors following a general white noise process
• On the first-order bilinear time series model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stationarity of Gtarch Processes
• Probability Inequalities for Sums of Bounded Random Variables

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